Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0007 |
| Annualized Std Dev | 0.0533 |
| Annualized Sharpe (Rf=0%) | 0.0139 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2910.0000 |
| NAs | 1.0000 |
| Minimum | -0.1214 |
| Quartile 1 | -0.0002 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0002 |
| Maximum | 0.1119 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0034 |
| Skewness | -3.0445 |
| Kurtosis | 1024.4254 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0024 |
| Gain Deviation | 0.0034 |
| Loss Deviation | 0.0042 |
| Downside Deviation (MAR=210%) | 0.0087 |
| Downside Deviation (Rf=0%) | 0.0024 |
| Downside Deviation (0%) | 0.0024 |
| Maximum Drawdown | 0.1214 |
| Historical VaR (95%) | -0.0008 |
| Historical ES (95%) | -0.0030 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-04 | 2008-12-04 | NA | -0.1214 | 2789 | 1 | NA |
| 2008-11-21 | 2008-12-02 | 2008-12-03 | -0.0339 | 5 | 4 | 1 |
| 2008-06-27 | 2008-09-18 | 2008-11-17 | -0.0094 | 66 | 36 | 30 |
| 2008-03-26 | 2008-04-25 | 2008-05-14 | -0.0062 | 29 | 18 | 11 |
| 2008-02-22 | 2008-02-22 | 2008-02-27 | -0.0018 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | 0 | 0 | 0 | 0.1 | 0 | 0 | 0 | 0.1 | 0.1 | 0 | 0.1 | 0.5 |
| 2009 | 0 | 0 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 |
| 2010 | 0 | -0.1 | 0 | 0 | 0 | 0.2 | 0 | 0.1 | 0 | 0 | 0.1 | 0 | 0.3 |
| 2011 | 0 | -0.1 | 0.1 | 0 | 0.1 | 0 | 0 | 0 | -0.1 | 0.1 | 0.1 | 0 | 0.3 |
| 2012 | 0.1 | 0 | 0 | 0 | -0.1 | 0 | 0 | 0 | 0 | -0.1 | 0.1 | 0 | 0.1 |
| 2013 | -0.1 | -0.1 | -0.1 | -0.1 | 0 | -0.2 | -0.1 | 0 | -0.2 | -0.1 | 0 | 0 | -0.9 |
| 2014 | 0 | 0 | 0 | -0.1 | 0 | -0.1 | 0 | 0 | 0 | 0 | -0.1 | -0.1 | -0.4 |
| 2015 | 0 | 0.1 | 0 | -0.1 | -0.1 | -0.1 | 0 | 0 | -0.1 | 0 | -0.1 | 0 | -0.4 |
| 2016 | 0 | -0.1 | -0.1 | 0 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.8 |
| 2017 | -0.1 | -0.1 | 0.1 | -0.1 | -0.1 | 0 | -0.1 | -0.1 | 0 | 0 | 0 | 0.1 | -0.4 |
| 2018 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0.1 |
| 2019 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.2 |
| 2020 | 0 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.2 |
| 2021 | 0 | 0 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-02-12 50.1 SPY 135. 0.00930 0.0064 -0.0368 -0.0699 -0.059 0.131 0.607 GLD 89.3 -0.0219 0.0188
2 2008-02-22 50.0 SPY 136. 0.0062 0.0033 0.0131 -0.0624 -0.0703 0.126 0.608 GLD 93.4 0.0015 0.041
3 2008-02-27 50.1 SPY 138. -0.001 0.0169 0.022 -0.0194 -0.0092 0.150 0.636 GLD 94.8 0.0114 0.0165
4 2008-02-28 50.1 SPY 137. -0.0098 0.0154 0.0071 -0.04 -0.0288 0.127 0.644 GLD 96.0 0.0128 0.0294
5 2008-03-26 50.0 SPY 133. -0.0122 -0.0032 -0.0301 -0.101 -0.0698 0.138 0.536 GLD 93.8 0.0115 -0.028
6 2008-03-27 50.1 SPY 133. -0.0032 0.0189 -0.0403 -0.110 -0.0706 0.134 0.517 GLD 93.5 -0.0036 0.0045
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
